United States
Cross-border credit posts biggest rise since Covid
Derivatives claims on overseas NBFIs rise 16% to $2 trillion
Goldman gobbles up credit options
Counterparty Radar: Q1 surge comes as US mutual funds and life insurers pile into index CDSs
FICC-cleared MMF reverse repos hit record high in June
Non-Fed reverse repos exceed $3 trillion for the first time
US buy side flocked to FX forwards and options in Q1
Counterparty Radar: Pimco led $187 billion rise in forwards notional among funds, while TIAA drove insurer activity
Huntington non-performing asset ratio hit highest since 2020
Non-accrual commercial and industrial loans rise 20% to record $986 million
AOCI losses widen at US regional banks
Rising Treasury yields put renewed pressure on AFS valuations
US housing law delivers good news for insurers
Congress added curbs to institutional property ownership; insurers are more interested in the underlying loans
Standardised RWAs bind JP Morgan’s CET1 ratio again
Bank was the last US G-Sib still bound by advanced CET1 calculation
Have CCPs got better at absorbing shocks?
Data suggests most CCPs weathered the Iran-war disruption, but shock frequency is starting to bite
US funds become fixed-rate payers in swap market
Counterparty Radar: Since 2021, receiver swaps have dominated US mutual fund positions; in the latest data, the sector’s book flips round
Modelled RWAs at systemic banks undershoot standardised by $441bn
Wells Fargo and Bank of America have largest gap between internal and regulator-set models
Lower-risk models face excessive reviews, banks say
Risk Benchmarking: Validation workload stretching teams, amid emerging regulatory divergence
Model risk managers see growing regulatory divergence
Risk Benchmarking study finds most banks expect easing of model risk supervisory scrutiny in the US, but tightening in Europe
SpaceX gives CME’s single-stock futures a much-needed boost
New contracts could take off as IPO bolt-on to S&P 500 contracts
Risk density and capital requirements inversely related – FSI
Report says jurisdictions could be choosing between higher capital requirements or model restrictions
Foreign banks take bigger capital hit in US stress tests
Federal Reserve projects median CET1 drop of 3pp for non-US lenders
US Basel III will provide reprieve for clearing, but no release
Worst excesses of original endgame proposal avoided, but increased capacity still seen as unlikely
JP Morgan’s negative AOCI widens in Q2
Three US G-Sibs report larger unrealised losses, but Citi bucks the trend
MSIM retools renminbi options wager
Counterparty Radar: US manager rebuilds USD/CNH call book to $15.7bn with strikes closer to spot and cheaper premiums
Red alert: how Nasdaq’s Smarts became surveillance blind spot
Software that looks for shifty trades has been asleep on the job, affecting alerts for hundreds of products
US banks add $75 billion of CRE as concentration risks recede
Portfolios grow at fastest pace in nearly three years, while exposure above regulatory thresholds drops